Correlation Between Abbey Capital and Locorr Macro
Can any of the company-specific risk be diversified away by investing in both Abbey Capital and Locorr Macro at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Abbey Capital and Locorr Macro into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Abbey Capital Futures and Locorr Macro Strategies, you can compare the effects of market volatilities on Abbey Capital and Locorr Macro and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Abbey Capital with a short position of Locorr Macro. Check out your portfolio center. Please also check ongoing floating volatility patterns of Abbey Capital and Locorr Macro.
Diversification Opportunities for Abbey Capital and Locorr Macro
0.86 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Abbey and Locorr is 0.86. Overlapping area represents the amount of risk that can be diversified away by holding Abbey Capital Futures and Locorr Macro Strategies in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Locorr Macro Strategies and Abbey Capital is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Abbey Capital Futures are associated (or correlated) with Locorr Macro. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Locorr Macro Strategies has no effect on the direction of Abbey Capital i.e., Abbey Capital and Locorr Macro go up and down completely randomly.
Pair Corralation between Abbey Capital and Locorr Macro
Assuming the 90 days horizon Abbey Capital is expected to generate 1.36 times less return on investment than Locorr Macro. In addition to that, Abbey Capital is 1.24 times more volatile than Locorr Macro Strategies. It trades about 0.11 of its total potential returns per unit of risk. Locorr Macro Strategies is currently generating about 0.19 per unit of volatility. If you would invest 719.00 in Locorr Macro Strategies on September 1, 2024 and sell it today you would earn a total of 10.00 from holding Locorr Macro Strategies or generate 1.39% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 95.45% |
| Values | Daily Returns |
Abbey Capital Futures vs. Locorr Macro Strategies
Performance |
| Timeline |
| Abbey Capital Futures |
| Locorr Macro Strategies |
Abbey Capital and Locorr Macro Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Abbey Capital and Locorr Macro
The main advantage of trading using opposite Abbey Capital and Locorr Macro positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Abbey Capital position performs unexpectedly, Locorr Macro can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Locorr Macro will offset losses from the drop in Locorr Macro's long position.| Abbey Capital vs. Health Biotchnology Portfolio | Abbey Capital vs. Baillie Gifford Health | Abbey Capital vs. Deutsche Health And | Abbey Capital vs. Tekla Healthcare Opportunities |
| Locorr Macro vs. Fisher Small Cap | Locorr Macro vs. Victory Rs Small | Locorr Macro vs. Ab Small Cap | Locorr Macro vs. Vanguard Small Cap Growth |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
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